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Brent Crude
About: Brent Crude is a research topic. Over the lifetime, 548 publications have been published within this topic receiving 9879 citations.
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TL;DR: The authors showed that futures-based forecasts based on intra-day data provide informative forecasts for horizons that span between 1-day and 66-day ahead, even during turbulent times for the oil market, such as the Global Financial Crisis of 2007-09 and the oil collapse period of 2014-15.
12 citations
TL;DR: In this article, the authors examined the effect of US monetary policy, oil price and gold price on stock indices of BRICS countries, and found that the Bombay Sensex responds positively to the Federal Funds Rate.
12 citations
TL;DR: The authors developed an index of uncertainty, the COVID-19 induced uncertainty (CIU) index, and employed it to empirically examine the vulnerability of energy prices amidst a COVID19 pandemic using a distributed lag model that jointly accounts for conditional heteroscedasticity, autocorrelation, persistence, and structural breaks, as well as day-of-the-week effect.
Abstract: We develop an index of uncertainty, the COVID-19 induced uncertainty (CIU) index, and employ it to empirically examine the vulnerability of energy prices amidst the COVID-19 pandemic using a distributed lag model that jointly accounts for conditional heteroscedasticity, autocorrelation, persistence, and structural breaks, as well as day-of-the-week effect. The nexus between energy returns and uncertainty index is analyzed, using daily price returns of eight energy sources (Brent oil, diesel, gasoline, heating oil, kerosene, natural gas, propane, and WTI oil) and four news/information-based uncertainty proxies [CIU, EPU, Global Fear Index (GFI) and VIX]. The CIU and alternative indexes are used, respectively for the main estimation and sensitivity analysis. We show the outperformance of CIU over alternative news uncertainty proxies in the prediction of energy prices. News (aggregate) and bad news are found to negatively and significantly impact energy returns, while good news has a significantly positive impact. Imperatively, energy variables lack hedging potentials against the uncertainty occasioned by the COVID-19 pandemic, while we find no strong evidence of asymmetry. Our results are robust to the choice of news variables, forecast horizons employed, with likely sensitivity to energy prices.
12 citations
TL;DR: In this article, the authors empirically examined the application of a host of techniques employed to measure price efficiency through long-range dependence using prices of monthly oil contracts and found that the long-term futures contracts are more efficient than short-term contracts.
12 citations
TL;DR: In this paper, the authors examine some fundamental properties of the Henry Hub (HH) and National Balancing Point (NBP) prices and assess which of them has the biggest potential to become an international price reference.
Abstract: One of the lessons in the history of international trade in commodities is the emergence — sooner or later — of an international price reference, most commonly known as an international marker price. In the area of oil, West Texas Intermediate (WTI) plays the role of a marker for sour crudes traded in the Atlantic basin. Brent oil fulfils this function for sweet crudes traded in Europe. Another important aspect in the area of global commodities is that the emergence of a marker price is not always necessarily related to the relative share of production or exports of the commodity, but primarily to the existence of an organized market for this commodity.
Today, while international gas trade is intensifying, we still lack an international price reference for this commodity. This is due to the fact that the international trade of natural gas is still highly regionalized. It is also due to the fact that most gas markets are still regulated. Nevertheless, deregulation efforts have been implemented in both developed (the United States, the United Kingdom, continental Europe, Korea) and developing countries (Brazil, Chile) and have led to new market structures based on more competition in all segments of the gas chain, except transportation. In the meantime, price structures based on supply and demand principles are supposed to have emerged in the US and UK markets in the 1990s as a result of the implementation of deregulation measures.
Today, the US gas market, which represents more than 660 billion cubic metres per year of consumption and the UK gas market, which is close to 100 bcm annually, are considered mature enough to make the principles of supply and demand operate inside these markets. In fact, the Henry Hub (HH) price, which is determined at a physical location in Louisiana, US, and the national balancing point (NBP) price, which is determined somewhere inside the national transmission system (NTS), without any precise location, are considered as potential candidates to serve as a marker price in the international trade of gas.
The objective of this paper is to examine some fundamental properties of the HH and NBP prices and assess which of them has the biggest potential to become an international price reference. Our main conclusions are:
1According to the relatively huge volume of gas traded on the US spot market, compared with the UK, and according to the experience accumulated by the New York Mercantile Exchange (NYMEX) in gas trading, the HH price has a bigger potential than the NBP to become an international price reference, particularly because the UK market is supposed to import more and more gas indexed to oil in the coming years.
2However, on the price fluctuation side, the NBP spot price seems to fluctuate more normally than the HH price in the short term, which can give a certain advantage to NBP prices.
3We cannot exclude the fact that in the coming years we will have two or even more reference prices in the Atlantic Basin: the NBP, the HH and also reference prices at other regional hubs.
12 citations